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Abstract: We develop a theory of endogenous uncertainty based on the role of the price system as information aggregator. In a model with many risky assets in which investors allocate their attention between firm-level and aggregate information, we show that investors’ information choices influence aggregate uncertainty: As investors shift attention from individual assets to an aggregate risk factor, the price system becomes less informative about aggregate risks. This raises aggregate uncertainty in subsequent periods, providing further incentives to learn about aggregate risks. As a result of this feedback, multiple regimes in aggregate uncertainty can emerge and temporary volatility shocks can have long-lasting effects. Empirically, the separation of price informativeness into systematic and idiosyncratic components shows that higher aggregate uncertainty relative to firm-specific one leads to higher systematic information content of prices for the short- and medium-term realization of fundamentals.